How can i bring this system to the next level

I have started a private thread with nonlinear5 to figure out the exact data he needed to calculate my sharpe ratio. Here is his reply:

"Based on your figures,
average daily return is 0.400446%
standard deviation of daily returns is 1.886141%

Your annualized Sharpe ratio is
sqrt(251) * 0.400446 / 1.886141 = 3.363618

That's an outstanding Sharpe ratio.
I encourage you to post your spreadsheet to the forum, so that other people can verify."

The spreadsheet is linked here if anyone is interested: https://onedrive.live.com/view.aspx...=file,xlsx&app=Excel&authkey=!AKNlU19ivtGx38E
 
Dekor said:
I have started a private thread with nonlinear5 to figure out the exact data he needed to calculate my sharpe ratio. Here is his reply:

"Based on your figures,
average daily return is 0.400446%
standard deviation of daily returns is 1.886141%

Your annualized Sharpe ratio is
sqrt(251) * 0.400446 / 1.886141 = 3.363618

That's an outstanding Sharpe ratio.
I encourage you to post your spreadsheet to the forum, so that other people can verify."

The spreadsheet is linked here if anyone is interested: https://onedrive.live.com/view.aspx?resid=C847EB69F0DF1FD8!1626&ithint=file,xlsx&app=Excel&authkey=!AKNlU19ivtGx38E
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The spreadsheet is editable online. I had to make some additions to it, to calculate the Sharpe ratio. You may want to post your original spreadsheet, and make it read-only.
 
Dekor said:
First things first, i know this is my first post here so probably there are going to be a few members who are not going to take this serious, anyway ...

I have created an automated scalping system in the 30 year bond futures (ZB).
The system is being forward tested for the last 10 month's with 245 trades.
Now i will share the statistics of the results: (results are based on an account balance of 50K and trading size started with 5 contracts, 2 contracts added every 15k profit)

Total lengt: 10 months (09-2016 until 06-2017, testing will continue in the future)
Total trades: 245
Winning trades: 153
Losing trades 104
Win rate: 60%
Total return: 81.17%
Max DD 9.59%
Profit factor: 1.68
Sharpe ratio: 18.9 (However i do think i made a mistake with this calculation o_O)

So if i would have started with a 50k account in september 2016 and traded 5 ZB contracts and added 2 every 15k profit i would have made 40587.25$.

Of course i am very satisfied with these results so far, the draw down could even be lower if i would aim for a lower return.

Now i am wondering, what is the next step.
Unfortunately i do not have the funds to scale this system up to its full potential.
Also i am unable to save up a lot of funds the coming time to start this completely on my own.
Are there any members here who can advise me, perhaps some trades who have been in a similar situation?

Ps: Advice on the system or how to do the correct share ratio calculation is very much appreciated!
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The next step is to run thorough statistical analyses on your system to have a higher degree of certainty that what you have achieved is not the product of a non-replicable random walk. Can go many ways to achieve that. This is a good start if you are willing to put one month of intensive work into it: www.amazon.com/Quantitative-Trading-Understanding-Mathematical-Computational/dp/1137354070. Can achieve similar end results with excel, but if you are serious about trading, learning the basics of a programming language would prove highly beneficial and save you a lot of time in the mid run.
 
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Oysteryx said:
The next step is to run thorough statistical analyses on your system to have a higher degree of certainty that what you have achieved is not the product of a non-replicable random walk. Can go many ways to achieve that. This is a good start if you are willing to put one month of intensive work into it: www.amazon.com/Quantitative-Trading-Understanding-Mathematical-Computational/dp/1137354070. Can achieve similar end results with excel, but if you are serious about trading, learning the basics of a programming language would prove highly beneficial and save you a lot of time in the mid run.
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Thank you for the reply, i will look in to this.
All this is new to me so that is why i created this thread, to get some input on what to do next and to find the best way to get into fully automated trading on a more professional level.
 
Dekor said:
...Unfortunately i do not have the funds to scale this system up to its full potential.
Also i am unable to save up a lot of funds the coming time to start this completely on my own.
Are there any members here who can advise me, perhaps some trades who have been in a similar situation?

Ps: Advice on the system or how to do the correct share ratio calculation is very much appreciated!
More...

Just get a 2nd job and save your money until you've reached the capital amount you need. Yeah, sure you won't have much of a social life but you will learn one thing that whatever friends you have now...they'll still be there after you quit your 2nd job...after earning your capitalization.

I don't believe in increasing your debts (personal loans, maxing out credit cards) to gain capital.

Anyways, you'll be more protective of your trading capital when you trade because you know you've worked your butt off to earn it. Another option is to fully automate your system. If you don't know how to do it...learn to do it or find someone that knows how to do it (a lot more difficult because you will need to make agreements to protect your system).

Whatever you do, do not quit your job especially if you have a family to support...its your safety net if you've done something wrong in your backtesting, trading or the markets change (they always change).

You can start another thread a few years later "after" earning your new trading capital about your profit level and what to do next with your job.

That's how you take your trading to the next level and its not suppose to be easy.
 
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wrbtrader said:
Just get a 2nd job and save your money until you've reached the capital amount you need. Yeah, sure you won't have much of a social life but you will learn one thing that whatever friends you have now...they'll still be there after you quit your 2nd job...after earning your capitalization.

I don't believe in increasing your debts (personal loans, maxing out credit cards) to gain capital.

Anyways, you'll be more protective of your trading capital when you trade because you know you've worked your butt off to earn it. Another option is to fully automate your system. If you don't know how to do it...learn to do it or find someone that knows how to do it (a lot more difficult because you will need to make agreements to protect your system).

That's how you take your trading to the next level and its not suppose to be easy.
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Normally i would agree with you, however in my personal situation in am unable to take an extra job. If it was an option i would have done it by now.
 
Dekor said:
Normally i would agree with you, however in my personal situation in am unable to take an extra job. If it was an option i would have done it by now.
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What's your personal situation that prevents getting a 2nd job?

Seriously, you can share that info...nobody knows who you are and where you live.

For example, someone I know in the same situation via the info you've already provided...they couldn't do it too due to their spouse being terminally ill. The free time he had...he wanted to devote to caring for his spouse and spending quality time with her. He also had a small child and nobody nearby to care for his child while he would work a 2nd job.

That's understandable.

P.S. I won't suggest borrowing money from a rich relative...you would have done that already. Reminder, you stated 50k per 5 contracts. Someone replied what's wrong with 10k per 1 contract ?
 
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I am a single father raising a child of 5. I am not going to make the sacrifice to see my child only 30 minutes a day. That's not worth it in my opinion.
 
wrbtrader said:
What's your personal situation that prevents getting a 2nd job?

Seriously, you can share that info...nobody knows who you are and where you live.

For example, someone I know in the same situation via the info you've already provided...they couldn't do it too due to their spouse being terminally ill. The free time he had...he wanted to devote to caring for his spouse and spending quality time with her. He also had a small child and nobody nearby to care for his child while he would work a 2nd job.

That's understandable.

P.S. I won't suggest borrowing money from a rich relative...you would have done that already. Reminder, you stated 50k per 5 contracts. Someone replied what's wrong with 10k per 1 contract ?
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Nothing wrong with 1 contract, only problem then is that it would take multiple years to scale it to a decent size. And even 10k is more than i can deposit right now.

I do understand lending money to trade is very risky, however right now it is one of the only options i have.
Unfortunately not everyone with a good idea has the money to back it up, so i have to figure out an alternative way to get there.
 
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